Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0119
Annualized Std Dev 0.0624
Annualized Sharpe (Rf=0%) 0.1904

Row

Daily Return Statistics

Close
Observations 4350.0000
NAs 1.0000
Minimum -0.0295
Quartile 1 -0.0020
Median 0.0001
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0022
Maximum 0.0445
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0039
Skewness 0.1610
Kurtosis 11.1312

Downside Risk

Close
Semi Deviation 0.0028
Gain Deviation 0.0028
Loss Deviation 0.0029
Downside Deviation (MAR=210%) 0.0091
Downside Deviation (Rf=0%) 0.0028
Downside Deviation (0%) 0.0028
Maximum Drawdown 0.1864
Historical VaR (95%) -0.0059
Historical ES (95%) -0.0090
Modified VaR (95%) -0.0053
Modified ES (95%) -0.0053
From Trough To Depth Length To Trough Recovery
2008-03-11 2008-11-24 2010-10-08 -0.1864 652 181 471
2012-12-11 2018-11-02 2020-07-02 -0.1218 1903 1486 417
2005-06-02 2007-06-12 2007-11-26 -0.0965 626 510 116
2004-03-18 2004-05-10 2005-06-01 -0.0726 304 37 267
2010-10-15 2011-02-10 2011-07-19 -0.0651 191 82 109

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA NA NA NA NA NA 0 0
2004 0.5 0.6 -0.5 0.4 -0.6 0.1 0.6 -0.4 -0.5 -0.5 -0.4 -0.4 -1.2
2005 -0.3 0 -0.2 -0.3 0.4 -1.3 -0.8 -0.1 -0.2 -0.4 -1.4 0 -4.5
2006 -0.3 -0.2 0 -0.8 -0.5 0.5 -0.4 -0.6 0 -0.2 0.3 0.1 -2.1
2007 -0.3 -0.1 0 -0.4 -0.8 0.6 -0.9 0 -0.2 0.6 -0.1 0.7 -1
2008 -0.5 1.1 -1.4 -0.5 0.4 -0.6 -0.5 -0.3 0.5 -0.5 2 0.3 -0.1
2009 0.5 -0.6 -0.1 -1.6 -1.2 -0.6 0.5 -0.8 0.2 0.4 -0.4 -0.1 -3.6
2010 -0.2 0 -0.4 0.3 -0.7 -0.8 0.4 -0.5 0.1 -0.1 -0.8 0.7 -2
2011 -0.2 0.3 -0.3 0.2 -0.2 -0.6 -0.2 0.9 -0.2 0.9 -0.2 0 0.3
2012 -0.1 -0.2 -0.3 -0.3 -0.2 -0.2 0 0.5 0.2 -0.4 0.2 -0.6 -1.5
2013 -0.5 0.4 0 -0.3 0.1 0 -0.8 -0.3 -0.2 -0.8 -0.1 -0.1 -2.5
2014 0.2 0.1 -0.3 0.1 -0.2 -0.7 0.1 -0.1 0.7 0.1 -0.3 0.3 -0.1
2015 0.7 0.6 0.8 -0.4 -0.6 -0.4 0.4 -0.5 0.3 0.3 0.4 0.2 1.8
2016 -0.2 -0.3 0.1 0 -0.2 0.3 -1 -0.3 0 0 -0.5 0.3 -1.7
2017 -0.2 -0.6 0.3 -0.6 -0.3 -0.1 -0.1 -0.4 -0.2 -0.1 -0.1 0.3 -2.1
2018 -0.5 0.3 0.2 -0.7 -0.4 0 -0.7 -0.1 -0.4 -0.2 0 0.1 -2.4
2019 -0.4 -0.2 -0.4 -0.2 0.6 -0.7 0.1 -0.4 0 0.1 -0.2 -0.1 -1.7
2020 0.4 0.2 0.5 -0.2 0.1 0.1 0.3 0.1 -0.3 -0.3 -0.3 0.2 0.6
2021 -0.2 -0.3 0.2 NA NA NA NA NA NA NA NA NA -0.4

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart